<PAGE>
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 10-Q
(Mark One)
/X/ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE
ACT OF 1934
For the quarterly period ended March 31, 2000
OR
/ / TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE
ACT OF 1934
For the transition period from _______________________ to ______________________
Commission file number: 0-23885
PRUDENTIAL SECURITIES STRATEGIC TRUST
- --------------------------------------------------------------------------------
(Exact name of Registrant as specified in its charter)
Delaware 13-7075398
- --------------------------------------------------------------------------------
(State or other jurisdiction of (I.R.S. Employer Identification No.)
incorporation or organization)
One New York Plaza, 13th Floor, New York, New York 10292
- --------------------------------------------------------------------------------
(Address of principal executive offices) (Zip Code)
Registrant's telephone number, including area code (212) 778-7866
N/A
- --------------------------------------------------------------------------------
Former name, former address and former fiscal year, if changed since last report
Indicate by check CK whether the Registrant (1) has filed all reports
required to be filed by Section 13 or 15(d) of the Securities Exchange Act of
1934 during the preceding 12 months (or for such shorter period that the
Registrant was required to file such reports), and (2) has been subject to such
filing requirements for the past 90 days. Yes _CK_ No __
<PAGE>
PART I. FINANCIAL INFORMATION
ITEM I. FINANCIAL STATEMENTS
PRUDENTIAL SECURITIES STRATEGIC TRUST
(a Delaware Business Trust)
STATEMENTS OF FINANCIAL CONDITION
(Unaudited)
<TABLE>
<CAPTION>
March 31, December 31,
2000 1999
<S> <C> <C>
- ---------------------------------------------------------------------------------------------------
ASSETS
Cash $24,026,789 $31,489,773
Net unrealized gain (loss) on open futures and options contracts (315,483) 3,686,345
Net option premium -- 152,364
Other receivable 2,774 2,203
----------- ------------
Total assets $23,714,080 $35,330,685
----------- ------------
----------- ------------
LIABILITIES AND TRUST CAPITAL
Liabilities
Redemptions payable $ 2,552,828 $ 1,219,087
Unrealized loss on open forward contracts 41,331 205,135
Management fees payable 9,604 65,935
Incentive fees payable -- 37,416
----------- ------------
Total liabilities 2,603,763 1,527,573
----------- ------------
Commitments
Trust capital
Limited interests (216,247.950 and 261,529.578 interests
outstanding) 20,899,149 33,465,044
General interests (2,185 and 2,642 interests outstanding) 211,168 338,068
----------- ------------
Total trust capital 21,110,317 33,803,112
----------- ------------
Total liabilities and trust capital $23,714,080 $35,330,685
----------- ------------
----------- ------------
Net asset value per limited and general interest ('Interests') $ 96.64 $ 127.96
----------- ------------
----------- ------------
- ---------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these statements.
</TABLE>
2
<PAGE>
PRUDENTIAL SECURITIES STRATEGIC TRUST
(a Delaware Business Trust)
STATEMENTS OF OPERATIONS
(Unaudited)
<TABLE>
<CAPTION>
Three months ended March 31,
----------------------------
2000 1999
<S> <C> <C>
- ---------------------------------------------------------------------------------------------------
REVENUES
Net realized gain (loss) on commodity transactions $(4,067,401) $2,716,229
Change in net unrealized gain/loss on open commodity positions (3,838,024) (90,181)
Interest income 305,117 395,126
------------- ----------
(7,600,308) 3,021,174
------------- ----------
EXPENSES
Commissions 421,065 846,696
Management fees 91,564 255,795
Incentive fees -- 311,850
------------- ----------
512,629 1,414,341
------------- ----------
Net income (loss) $(8,112,937) $1,606,833
------------- ----------
------------- ----------
ALLOCATION OF NET INCOME (LOSS)
Limited interests $(8,031,793) $1,590,772
------------- ----------
------------- ----------
General interests $ (81,144) $ 16,061
------------- ----------
------------- ----------
NET INCOME (LOSS) PER WEIGHTED AVERAGE
LIMITED AND GENERAL INTEREST
Net income (loss) per weighted average limited
and general interest $ (31.77) $ 4.51
------------- ----------
------------- ----------
Weighted average number of limited
and general interests outstanding 255,386 356,327
------------- ----------
------------- ----------
- ---------------------------------------------------------------------------------------------------
</TABLE>
STATEMENT OF CHANGES IN TRUST CAPITAL
(Unaudited)
<TABLE>
<CAPTION>
LIMITED GENERAL
INTERESTS INTERESTS INTERESTS TOTAL
<S> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------
Trust capital--December 31, 1999 264,171.578 $33,465,044 $338,068 $33,803,112
Net loss -- (8,031,793) (81,144 ) (8,112,937)
Redemptions (45,738.628) (4,534,102) (45,756 ) (4,579,858)
------------ ----------- --------- -----------
Trust capital--March 31, 2000 218,432.950 $20,899,149 $211,168 $21,110,317
------------ ----------- --------- -----------
------------ ----------- --------- -----------
- -----------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these statements.
</TABLE>
3
<PAGE>
PRUDENTIAL SECURITIES STRATEGIC TRUST
(a Delaware Business Trust)
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2000
(Unaudited)
A. General
These financial statements have been prepared without audit. In the opinion
of Prudential Securities Futures Management Inc. (the 'Managing Owner'), the
financial statements contain all adjustments (consisting of only normal
recurring adjustments) necessary to present fairly the financial position of
Prudential Securities Strategic Trust (the 'Trust') as of March 31, 2000 and the
results of its operations for the three months ended March 31, 2000 and 1999.
However, the operating results for the interim periods may not be indicative of
the results expected for the full year.
Certain information and footnote disclosures normally included in annual
financial statements prepared in accordance with generally accepted accounting
principles have been omitted. It is suggested that these financial statements be
read in conjunction with the financial statements and notes thereto included in
the Trust's Annual Report on Form 10-K filed with the Securities and Exchange
Commission for the year ended December 31, 1999 (the 'Annual Report').
As of February 15, 2000, Willowbridge Associates Inc. ('Willowbridge') ceased
to serve as a trading manager to the Trust. The advisory agreement among the
Trust, the Managing Owner and Willowbridge was automatically terminated when the
assets allocated to Willowbridge declined by greater than 33 1/3% from their
balance at December 31, 1999. The portion of Trust assets which were traded by
Willowbridge are not currently allocated to commodities trading (approximately
44% at March 31, 2000) and, as such, have not been subject to management fees or
commissions since February 15, 2000. The Managing Owner is currently considering
other independent commodity trading managers to trade these assets on behalf of
the Trust.
B. Related Parties
The Managing Owner is a wholly owned subsidiary of Prudential Securities
Incorporated ('PSI') which, in turn, is a wholly owned subsidiary of Prudential
Securities Group Inc. The Managing Owner or its affiliates perform services for
the Trust which include but are not limited to: brokerage services; accounting
and financial management; registrar, transfer and assignment functions; investor
communications; printing and other administrative services. Except for costs
related to brokerage services, PSI or its affiliates pay the costs of these
services in addition to the Trust's routine operational, administrative, legal
and auditing costs as well as costs paid to organize the Trust and offer its
Interests.
The costs charged to the Trust for brokerage services for the three months
ended March 31, 2000 and 1999 were $421,065 and $846,696, respectively.
The Trust's assets are maintained either in trading or cash accounts at PSI
or, for margin purposes, with the various exchanges on which the Trust is
permitted to trade. PSI credits the Trust monthly with 80% of the interest it
earns on the average net assets in the Trust's accounts and retains the
remaining 20%.
The Trust, acting through its trading managers, executes over-the-counter,
spot, forward and/or option foreign exchange transactions with PSI. PSI then
engages in back-to-back trading with an affiliate, Prudential-Bache Global
Markets Inc. ('PBGM'). PBGM attempts to earn a profit on such transactions. PBGM
keeps its prices on foreign currency competitive with other interbank currency
trading desks. All over-the-counter currency transactions are conducted between
PSI and the Trust pursuant to a line of credit. PSI may require that collateral
be posted against the marked-to-market position of the Trust.
As of March 31, 2000, a non-U.S. affiliate of the Managing Owner owns 538.703
limited interests of the Trust.
C. Derivative Instruments and Associated Risks
The Trust is exposed to various types of risk associated with the derivative
instruments and related markets in which it invests. These risks include, but
are not limited to, risk of loss from fluctuations in the value of derivative
instruments held (market risk) and the inability of counterparties to perform
under the terms of the Trust's investment activities (credit risk).
4
<PAGE>
Market risk
Trading in futures and forward (including foreign exchange transactions)
contracts involves entering into contractual commitments to purchase or sell a
particular commodity at a specified date and price. The gross or face amount of
the contracts, which is typically many times that of the Trust's net assets
being traded, significantly exceeds the Trust's future cash requirements since
the Trust intends to close out its open positions prior to settlement. As a
result, the Trust is generally subject only to the risk of loss arising from the
change in the value of the contracts. As such, the Trust considers the 'fair
value' of its futures and forwards to be the net unrealized gain or loss on the
contracts. The market risk associated with the Trust's commitments to purchase
commodities is limited to the gross or face amount of the contracts held.
However, when the Trust enters into a contractual commitment to sell
commodities, it must make delivery of the underlying commodity at the contract
price and then repurchase the contract at prevailing market prices. Since the
repurchase price to which a commodity can rise is unlimited, entering into
commitments to sell commodities exposes the Trust to unlimited risk.
Trading in options involves the payment or receipt of a premium and the
corresponding right or obligation, as the case may be, to either purchase or
sell the underlying commodity for a specified price during a limited period of
time. Purchasing options involves the risk that the underlying commodity does
not change price as expected, so that the option expires worthless and the
premium is lost. On the other hand, selling options involves unlimited risk
because the Trust is exposed to the potentially unlimited price movement in the
underlying commodity.
Market risk is influenced by a wide variety of factors including government
programs and policies, political and economic events, the level and volatility
of interest rates, foreign currency exchange rates, the diversification effects
among the derivative instruments the Trust holds and the liquidity and inherent
volatility of the markets in which the Trust trades.
Credit risk
When entering into futures, forward or options contracts, the Trust is
exposed to credit risk that the counterparty to the contract will not meet its
obligations. The counterparty for futures and options contracts traded in the
United States and on most foreign futures and options exchanges is the
clearinghouse associated with such exchanges. In general, clearinghouses are
backed by the corporate members of the clearinghouse who are required to share
any financial burden resulting from the non-performance by one of its members
and, as such, should significantly reduce this credit risk. In cases where the
clearinghouse is not backed by the clearing members (i.e., some foreign
exchanges), it is normally backed by a consortium of banks or other financial
institutions. On the other hand, the sole counterparty to the Trust's forward
transactions is PSI, the Trust's commodity broker. The Trust has entered into a
master netting agreement with PSI and, as a result, presents unrealized gains
and losses on open forward positions as a net amount in the statements of
financial condition. The amount at risk associated with counterparty
non-performance of all of the Trust's contracts is the net unrealized gain (plus
premiums paid on options) included in the statements of financial condition.
There can be no assurance that any counterparty, clearing member or
clearinghouse will meet its obligations to the Trust.
The Managing Owner attempts to minimize both credit and market risks by
requiring the Trust and its trading managers to abide by various trading
limitations and policies. The Managing Owner monitors compliance with these
trading limitations and policies which include, but are not limited to,
executing and clearing all trades with creditworthy counterparties (currently,
PSI is the sole counterparty or broker); limiting the amount of margin or
premium required for any one commodity or all commodities combined; and
generally limiting transactions to contracts which are traded in sufficient
volume to permit the taking and liquidating of positions. Additionally, pursuant
to the Advisory Agreements among the Trust, the Managing Owner and the trading
managers, the Trust shall automatically terminate a trading manager if the net
asset value allocated to that trading manager declines by 33 1/3% from the value
at the beginning of any year or since the initial allocation of assets to that
trading manager. (See Note A for a discussion of the termination of Willowbridge
as a trading manager to the Trust.) Furthermore, the Second Amended and Restated
Declaration of Trust and Trust Agreement provides that the Trust will liquidate
its positions, and eventually dissolve, if the Trust experiences a decline in
the net asset value of 50% from the value at the beginning of any year or since
the commencement of trading activities. In each case, the decline in net asset
value is after giving effect for distributions and redemptions. The Managing
Owner may impose additional restrictions
5
<PAGE>
(through modifications of such trading limitations and policies) upon the
trading activities of the trading managers as it, in good faith, deems to be in
the best interests of the Trust.
PSI, when acting as the Trust's futures commission merchant in accepting
orders for the purchase or sale of domestic futures and options contracts, is
required by Commodity Futures Trading Commission ('CFTC') regulations to
separately account for and segregate as belonging to the Trust all assets of the
Trust relating to domestic futures and options trading and is not to commingle
such assets with other assets of PSI. At March 31, 2000, such segregated assets
totalled $13,783,362. Part 30.7 of the CFTC regulations also requires PSI to
secure assets of the Trust related to foreign futures and options
trading which totalled $9,927,944 at March 31, 2000. There are
no segregation requirements for assets related to forward trading.
As of March 31, 2000, the Trust's open futures and forward contracts mature
within one year.
At March 31, 2000 and December 31, 1999, the fair values of futures, forward
and options contracts were:
<TABLE>
<CAPTION>
2000 1999
------------------------ --------------------------
Assets Liabilities Assets Liabilities
-------- ----------- ---------- -----------
<S> <C> <C> <C> <C>
Futures Contracts:
Domestic exchanges
Interest rates $ 12,350 $ 171,286 $ 5,455 $ 13,650
Stock indices -- 105,150 2,022,713 3,606
Currencies 100,820 229,510 142,955 185,257
Commodities -- 5,513 206,761 119,006
Foreign exchanges
Interest rates 232,612 74,132 167,112 181,994
Stock indices 31,367 35,046 -- 11,538
Commodities 163,193 235,188 1,670,554 256,879
Forward Contracts:
Currencies -- 41,331 -- 8,656
Commodities -- -- -- 196,479
Options Contracts:
Foreign exchanges
Commodities -- -- 395,089 --
-------- ----------- ---------- -----------
$540,342 $ 897,156 $4,610,639 $ 977,065
-------- ----------- ---------- -----------
-------- ----------- ---------- -----------
</TABLE>
6
<PAGE>
PRUDENTIAL SECURITIES STRATEGIC TRUST
(a Delaware Business Trust)
ITEM 2. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION
AND RESULTS OF OPERATIONS
Liquidity and Capital Resources
The Trust commenced operations on May 1, 1996 with gross proceeds of
$12,686,200 allocated to commodities trading. Additional Interests were offered
monthly at the then current net asset value per Interest until the continuous
offering period expired on January 31, 1998. Additional contributions made
during the continuous offering period totalled $51,242,700 including $375,000 of
contributions from the Managing Owner.
The Trust Agreement provides that an Interest holder may redeem its Interests
as of the last day of any month at the then current net asset value per
Interest. Redemptions of limited interests and general interests for the three
months ended March 31, 2000 were $4,534,102 and $45,756, respectively.
Redemptions of limited interests and general interests from commencement of
operations, May 1, 1996, through March 31, 2000 were $42,689,492 and $319,710,
respectively. Future redemptions will impact the amount of funds available for
investment in commodity contracts in subsequent periods.
A significant portion of the net assets of the Trust are held in cash which
is used as margin for the Trust's trading in commodities. Inasmuch as the sole
business of the Trust is to trade in commodities, the Trust continues to own
such liquid assets to be used as margin. PSI credits the Trust monthly with 80%
of the interest it earns on the average net assets in these accounts and retains
the remaining 20%.
The commodities contracts are subject to periods of illiquidity because of
market conditions, regulatory considerations and other reasons. For example,
commodity exchanges limit fluctuations in commodity futures contract prices
during a single day by regulations referred to as 'daily limits.' During a
single day, no trades may be executed at prices beyond the daily limit. Once the
price of a futures contract for a particular commodity has increased or
decreased by an amount equal to the daily limit, positions in the commodity can
neither be taken nor liquidated unless traders are willing to effect trades at
or within the limit. Commodity futures prices have occasionally moved the daily
limit for several consecutive days with little or no trading. Such market
conditions could prevent the Trust from promptly liquidating its commodity
futures positions.
Since the Trust's business is to trade futures, forward and options
contracts, its capital is at risk due to changes in the value of these contracts
(market risk) or the inability of counterparties to perform under the terms of
the contracts (credit risk). The Trust's exposure to market risk is influenced
by a number of factors including the volatility of interest rates and foreign
currency exchange rates, the liquidity of the markets in which the contracts are
traded and the relationships among the contracts held. The inherent uncertainty
of the Trust's speculative trading as well as the development of drastic market
occurrences could result in monthly losses considerably beyond the Trust's
experience to date and could ultimately lead to a loss of all or substantially
all of investors' capital. The Managing Owner attempts to minimize these risks
by requiring the Trust and its trading managers to abide by various trading
limitations and policies, which include limiting margin amounts, trading only in
liquid markets and utilizing stop loss provisions. See Note C to the financial
statements for a further discussion of the credit and market risks associated
with the Trust's futures and forward contracts.
The Trust does not have, nor does it expect to have, any capital assets.
Results of Operations
The net asset value per Interest as of March 31, 2000 was $96.64, a decrease
of 24.48% from the December 31, 1999 net asset value per Interest of $127.96.
The Trust's gross trading gains/(losses) were ($7,905,425) during the three
months ended March 31, 2000 compared to $2,626,048 for the corresponding period
in the prior year. Due to the nature of the Trust's trading activities, a period
to period comparison of its trading results is not meaningful. However, a
detailed discussion of the Trust's current quarter trading results is presented
below.
7
<PAGE>
Quarterly Market Overview
While the Y2K scare passed without incident, the new year brought renewed
volatility to the world's financial markets. As stock indexes reached new highs,
stock valuations appeared driven more by investor interest than each company's
fundamental earnings. March marked a reversal of the differences between 'old'
economy and 'new' economy stocks as the technology laden indexes slumped and
many traditional indexes recovered lost ground.
The U.S. Federal Reserve, European Central Bank, Bank of England, Reserve
Bank of Australia, and Bank of Canada increased interest rates in early
February. The rate increases shared motivation of strong economic growth and
concerns about inflation. Despite rate hikes and news of robust worldwide
economic growth, global bond markets continued to rally partially due to
investors seeking refuge from volatile equity markets.
In the currency markets, the U.S. dollar advanced sharply in early 2000. The
dollar's advance had been driven by strong growth and soaring asset prices,
resulting in record levels of foreign capital coming into the United States.
Since its inception a year ago, the euro has declined more than 17% against the
U.S. dollar, 21% against the Japanese yen and 11% against the British pound. The
euro touched an all time low at .9500 against the U.S. dollar in March. The
currency's weakness has raised political problems for the European Central Bank
and contributed to the recent decision to hike interest rates without any clear
inflation threat. The Swiss franc had spent most of the last few months drifting
lower against the U.S. dollar, tracking the euro's trend. The Japanese yen
rallied sharply, gaining on the U.S. dollar and most other currencies in the
final months of Japan's fiscal year (which ended March 31st). This is attributed
to positive sentiment regarding Japan's economic recovery. Additionally,
uncertainty regarding the direction of U.S. equities prompted many market
participants to convert assets into yen.
Energy prices continued their climb throughout January and February and into
the first week of March. Crude oil futures prices rose above $33 a barrel, the
highest level for a front-month (the most liquid) contract since the Gulf War in
1991. The energy sector reached a high early in March just prior to OPEC's
agreement to increase production sufficiently to stabilize prices. Political
pressure by the United States, along with a desire among OPEC members to
maintain a crude oil price in the range of $22-$28 per barrel, prompted the
cartel to announce a production increase. The May contract closed below $27 a
barrel at quarter end.
Quarterly Trust Performance
The following is a summary of performance for the major sectors in which the
Trust traded:
Stock indices (-): Extreme volatility in the world's financial markets led to
a lack of trending opportunities resulting in losses for NASDAQ and S&P 500
stock index positions.
Metals (-): Short copper positions incurred losses as that market rallied. A
mid-quarter downturn in gold prices incurred losses for long positions.
Currencies (-): The euro steadily declined against the U.S. dollar, Japanese
yen, and British pound touching an all time low in March. Long euro positions
resulted in losses for the Trust.
Interest rates (-): Global bond yields generally declined as inflationary
pressure continued to build and economies improved. The bond market rally
incurred losses for short positions in 30-year U.S. Treasury bonds.
As of February 15, 2000, Willowbridge ceased to serve as a trading manager to
the Trust. The advisory agreement among the Trust, the Managing Owner and
Willowbridge was automatically terminated when the assets allocated to
Willowbridge declined by greater than 33 1/3% from their balance at December 31,
1999. The portion of Trust assets which were traded by Willowbridge are not
currently allocated to commodities trading (approximately 44% at March 31, 2000)
and, as such, have not been subject to management fees or commissions since
February 15, 2000. The Managing Owner is currently considering other independent
commodity trading managers to trade these assets on behalf of the Trust.
Interest income is earned on the equity balances held at PSI and, therefore,
varies monthly according to interest rates, trading performance and redemptions.
Interest income decreased by $90,000 for the three months ended March 31, 2000
as compared to the same period in 1999 primarily due to redemptions during 1999
as well as redemptions and weak trading performance during the first quarter of
2000.
8
<PAGE>
Commissions are calculated on the Trust's net asset value at the beginning of
each month and, therefore, vary according to trading performance and
redemptions. Commissions decreased by $426,000 for the three months ended March
31, 2000 as compared to the same period in 1999 due primarily to redemptions and
poor performance during the first quarter of 2000, as well as the postponement
of commissions charged to the Trust by PSI on the portion of net assets which
remain unallocated to commodities trading as discussed above.
At March 31, 2000, all trading decisions were made by Bridgewater Associates,
Inc. ('Bridgewater') (the 'Trading Manager'). Management fees are calculated on
the net asset value allocated to the Trading Manager at the end of each month
and, therefore, are affected by trading performance and redemptions. Management
fees decreased by $164,000 for the three months ended March 31, 2000 as compared
to the same period in 1999. This decrease was primarily due to redemptions and
poor performance during the first quarter of 2000 as well as the termination of
Willowbridge as a Trading Manager of the Trust as discussed above.
Incentive fees are based on the New High Net Trading Profits generated by
each Trading Manager, as defined in the Advisory Agreements among the Trust, the
Managing Owner and each Trading Manager. Incentive fees of approximately
$312,000 were paid during the three months ended March 31, 1999. No incentive
fees were paid during the three months ended March 31, 2000.
Year 2000 Risk
A discussion of Year 2000 and its effects on the operations of the Trust is
included in the Trust's Annual Report.
ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK
Item 305(c) of Regulation S-K requires disclosure during each interim
reporting period of material changes in the quantitative and qualitative market
risk information provided as of the end of the immediately preceding year. The
following information should be read in conjunction with the Trust's Form 10-K
as filed with the Securities and Exchange Commission for the year ended December
31, 1999.
The following table presents the trading Value at Risk of the Trust's open
positions by market sector as of March 31, 2000 and December 31, 1999. As of
March 31, 2000 and December 31, 1999, the Trust's total capitalization was
approximately $21.1 million and $33.8 million, respectively.
<TABLE>
<CAPTION>
March 31, 2000 December 31, 1999
--------------------------------- ---------------------------------
<S> <C> <C> <C> <C>
% of Total % of Total
Market Sector Value at Risk Capitalization Value at Risk Capitalization
- ------------------------------------- ------------- --------------- ------------- ---------------
Interest Rates $ 946,189 4.48% $ 399,718 1.18%
Currencies 665,090 3.15 365,279 1.08
Stock Indices 170,715 0.81 2,922,101 8.65
Commodities 27,000 0.13 2,632,700 7.79
------------- ------- ------------- -------
Total $ 1,808,994 8.57% $ 6,319,798 18.70%
------------- ------- ------------- -------
------------- ------- ------------- -------
</TABLE>
The following table presents the average trading Value at Risk of the Trust's
open positions by market sector for the three months ended March 31, 2000.
<TABLE>
<CAPTION>
Three months ended
March 31, 2000
---------------------------------
<S> <C> <C>
% of Total
Market Sector Value at Risk Capitalization
- ------------------------------------- ------------- ---------------
Interest Rates $ 1,045,470 3.84%
Currencies 619,041 2.28
Stock Indices 1,589,134 5.85
Commodities 1,157,300 4.26
------------- -------
Total $ 4,410,945 16.23%
------------- -------
------------- -------
</TABLE>
9
<PAGE>
The primary trading risk exposures of the Trust at March 31, 2000 and during
the three months then ended, by market sector, were:
Interests Rates. Interest rate movements directly affect the price of
sovereign bond positions held by the Trust and indirectly affect the value of
its stock index and currency positions. The Trust's primary interest rate
exposure is to interest rate fluctuations in the U.S. and other G-7 countries,
particularly fluctuations in long-term, as opposed to short-term, rates. At
March 31, 2000 and during the three months then ended, positions in Montreal
Bankers Acceptances, LIFFE gilts and SFE (Australia) Treasury bills and bonds
account for the majority of interest rate trading risk for the Trust.
Currencies. Currency market risk arises from exchange rate fluctuations,
primarily fluctuations which disrupt the historical pricing relationships
between different currencies and currency pairs. These fluctuations are
influenced by interest rate changes as well as political and general economic
conditions. Similar to prior periods, the Trust's major exposure as of March 31,
2000 and during the three months then ended resulted from positions in the local
currencies of G-7 countries.
Stock Indices. Although the trading managers trade various indices, the
Trust's primary equity index exposure at March 31, 2000 and during the three
months then ended resulted from positions in the S&P 500 Index, DAX (Germany)
and the MIB 30 Index (Italy). The stock index futures traded by the Trust are,
by law, limited to futures on broadly based indices.
Commodities. Positions in copper account for the majority of the commodities
trading risk exposure at March 31, 2000 and during the three months then ended.
10
<PAGE>
PART II. OTHER INFORMATION
Item 1. Legal Proceedings--There are no material legal proceedings pending by or
against the Registrant or the Managing Owner
Item 2. Changes in Securities--None
Item 3. Defaults Upon Senior Securities--None
Item 4. Submission of Matters to a Vote of Security Holders--None
Item 5. Other information--None
Item 6. Exhibits and Reports on Form 8-K:
(a) Exhibits
3.1
and
4.1-- Second Amended and Restated Declaration of Trust and Trust
Agreement of the Registrant dated as of December 14, 1995
(incorporated by reference to Exhibit 3.1 to 4.1 to the
Registrant's Registration Statement on Form S-1, File No.
33-80443)
4.2-- Subscription Agreement (incorporated by reference to
Exhibit 4.2 to the Registrant's Registration
Statement on Form S-1, File No. 33-80443)
4.3-- Request for Redemption (incorporated by
reference to Exhibit 4.3 to the
Registrant's Registration Statement on Form
S-1, File No. 33-80443)
27.1--Financial Data Schedule (filed herewith)
(b) Reports on Form 8-K--None
11
<PAGE>
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the
Registrant has duly caused this report to be signed on its behalf by the
undersigned thereunto duly authorized.
PRUDENTIAL SECURITIES STRATEGIC TRUST
By: Prudential Securities Futures Management Inc.
A Delaware corporation, Managing Owner
By: /s/ Steven Carlino Date: May 12, 2000
----------------------------------------
Steven Carlino
Vice President and Treasurer
12
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 5
<LEGEND>
The Schedule contains summary financial
information extracted from the financial
statements for Prudential Securities Strategic
Trust and is qualified in its entirety by
reference to such financial statements
</LEGEND>
<RESTATED>
<CIK> 0001005006
<NAME> Prudential Securities Strategic Trust
<MULTIPLIER> 1
<FISCAL-YEAR-END> Dec-31-2000
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0
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